问一道题：NO.PZ2019093001000021

NO.PZ2019093001000021 问题如下 Whiof the following fee structures most likely creases the volatility of a portfolio’s net returns? A.Incentive fees only B.Management fees only C.Neither incentive fees nor management fees A is correct. Because incentive fees are fees chargea percentage of returns (recing net gains in positive months anrecing net losses in negative months), its use lowers the stanrviation of realizereturns. Charging a management fee (a fixepercentage baseon assets) lowers the level of realizereturn without affecting the stanrviation of the return series. Whiof the following fee structures most likely creases the volatility of a portfolio’s net returns? 显然management fee是不管怎么样都要收的，仅有management fee的结构来说，的确volatility可以忽略为没有？于是当时就选错了理解李老师上课说的asymmetrical的结构会revariability on upsi，这样的确对整体波动性会降低，但的确如果不考虑bonus这块的话，单就management fee的话的确volatility近乎为0啊？这个怎么理解？另外，题目也没有说是对称结构还是非对称结构啊？还是说题目说到“net”就是asymmetrical？我不太懂，请老师仔细说说，感谢

看了之前的解答还是不明白为什么风险能被分享。“一旦收益被分享出去一部分，同时也是要承担投资风险的。现在收益被基金经理分走一部分，基金经理就要来一起承担投资风险，即risk sharing。风险小了，sigma波动就小”。 对于投资者和manager，sigma不是都一样的吗？

你好，看了之前的回答，有两个点还是不明白，希望解答: 1.答案中的\"Because incentive fees are fees chargea percentage of returns (recing net gains in positive months anrecing net losses in negative months), its use lowers the stanrviation of realizereturns. \"为什么说基金经理的incentive fee在亏损时会降低损失？incentive fee不是只有有positive return的时候收取，只是多拿走了投资者的收益？ 2.为什么incentive fee会导致低估wnsi risk？ 谢谢

这道题彻底懵了 “incentive会导致投资者的return降低， 但是将incentive fee付给基金经理的同时，也将这部分收益所对应的volatility转给了基金经理。即基金经理在拿钱的同时也拿走了一部分risk。” 基金经理的incentive fee只有有positive return的时候收取，只是多拿走了投资者的收益，怎么会叫作把风险降低了呢？ 而对于只领management fee的基金经理来说，保守投资才是最好的，所以return的波动性会降低。

Management fees only Neither incentive fees nor management fees A is correct. Because incentive fees are fees chargea percentage of returns (recing net gains in positive months anrecing net losses in negative months), its use lowers the stanrviation of realizereturns. Charging a management fee (a fixepercentage baseon assets) lowers the level of realizereturn without affecting the stanrviation of the return series. 为什么incentive fee占比大于management fee? 不是占比取决于active return吗